In general relativity there is only local conservation of energy, i.e. the energy is conserved only in small neigbourhoods, where the curvature of spacetime is neglectable and spacetime can be considered that of special theory of relativity. But when you consider larger areas, the energy is not conserved.

In general relativity there is (in general) only local conservation of energy, global conservation of energy does not exist the way it does in the rest of the physics. That is due to the difficulties in defining gravitational energy, which cannot really be done "correctly".

However you can define gravitational energy "uncorrectly" (f.e. using Landau-Lifshitz pseudotensor), in which case the conservation of energy will seemingly hold and light will loose its energy to gravitational part of the overall energy.